MABDA - Master in Big Data Analytics

BusinessSchool

Financial EconomicsProf. Nicola Borri______________________

MABDAProblem Set 1

Team Romeo Vimal, Loris Giaimis

The Algorithm

START

LIQUIDITY > 0BUY STOCKS

DONT BUY STOCKS

PRICE PERFORMANCEDO NOTHING

SELL -50%

DO NOTHING

END

Decrease -0,1% in 5 days

Start again

If the price increased in 5 days

PAST

METRICSTrading

SOME ANALYSIS 2007-2011

0

10

20

30

40

50

60

70

01/03/2007 01/03/2008 01/03/2009 01/03/2010 01/03/2011

APPLE - PRICE HIGH @AAPL(PH)

Max Price Max Daily Fluctuation

60,9571 13%

Min Price Min Daily Fluctuation

11,7143 -12%

Standard Deviation

13,8484

PERFORMANCES 31-12-2011 / 31-12-2012

-

200.000,00

400.000,00

600.000,00

800.000,00

1.000.000,00

1.200.000,00

1.400.000,00

1.600.000,00

1.800.000,00

2.000.000,00

Daily Result

Daily Result SD

INITIAL EQUITY TOTAL RETURN PERFORMANCE

1.000.000 1.316.099,49 32%

PERFORMANCES UNTIL NOW

-

500.000

1.000.000

1.500.000

2.000.000

2.500.000

Daily Return Standard Deviation

Initial Equity Total Return Performance

1.000.000,00 2.196.222 120%

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